This paper reports for the first time a systematic study of encapsulation of DHA-containing fish oil (50% DHA). The oil contents of 33%–90% on dry basis were encapsulated by whey protein isolate (WPI), using a micro-fluidic jet spray dryer. Uniform particles were generated so the characteristic of the particles can be analyzed much more objectively. For high oil content formulas (83%–90% on dry basis), thermal treatment was employed to produce a cross-linked, protein-stabilized oil-water interface prior to spray drying. The emulsion properties and the corresponding dry particle properties of different samples were analyzed. Better encapsulation efficiency was obtained for relatively high protein content (50–67% on dry basis) particles as expected. The wetting behavior under a simulated gastric-fluids environment was investigated. The particle samples with higher oil content slowly leaked the oil into the solution. The particle shells were quickly dissolved for higher protein content samples. The thermally treated precursor emulsions might have formed a less permeable shell to protect the core oil from outside environment, so that during the storage test, fish oil was better protected against oxidation. The results of this research provide useful information for future operation of spray dryer to make protein-based DHA microcapsules.